Pricing Defaultable Bonds Using a Lévy Jump‐Diffusion Model

International Review of Finance ◽

10.1111/irfi.12243 ◽

2018 ◽

Vol 19 (3) ◽

pp. 613-640 ◽

Author(s):

Shu L. Chiang ◽

Ming S. Tsai

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Defaultable Bonds ◽

Jump Diffusion Model

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The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2018.1459715 ◽

2018 ◽

Vol 48 (9) ◽

pp. 2185-2205 ◽

Author(s):

Chao Xu ◽

Yinghui Dong ◽

Guojing Wang

Keyword(s):

Diffusion Model ◽

Regime Switching ◽

Jump Diffusion ◽

Defaultable Bonds ◽

Jump Diffusion Model

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The Pricing of Vulnerable Options Under Jump-Diffusion Model

Acta Analysis Functionalis Applicata ◽

10.3724/sp.j.1160.2013.00204 ◽

2013 ◽

Vol 15 (3) ◽

pp. 204

Author(s):

Chixiang CHEN ◽

Biyi SHEN ◽

Guangyu YANG

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

Vulnerable Options

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MCMC estimation of a multi-factor jump diffusion model for power prices

The Journal of Energy Markets ◽

10.21314/jem.2008.016 ◽

2008 ◽

Vol 1 (4) ◽

pp. 65-90 ◽

Author(s):

Rikard Green ◽

Marcus Nossman

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Mcmc Estimation ◽

Jump Diffusion Model

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A canonical optimal stopping problem for American options under a double exponential jump-diffusion model

The Journal of Risk ◽

10.21314/jor.2007.154 ◽

2007 ◽

Vol 10 (1) ◽

pp. 85-100 ◽

Author(s):

Farid AitSahlia ◽

Andreas Runnemo

Keyword(s):

Diffusion Model ◽

Optimal Stopping ◽

American Options ◽

Jump Diffusion ◽

Optimal Stopping Problem ◽

Double Exponential ◽

Jump Diffusion Model

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A Revision of the Merton Jump-Diffusion Model: A Simple, Closed-Form Formula

SSRN Electronic Journal ◽

10.2139/ssrn.3412520 ◽

2019 ◽

Author(s):

Moawia Alghalith

Keyword(s):

Closed Form ◽

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

Closed Form Formula

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Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump?

SSRN Electronic Journal ◽

10.2139/ssrn.3549778 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Convenience Yield ◽

Linear Quadratic ◽

Jump Diffusion Model ◽

Futures And Options ◽

Stochastic Convenience Yield

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Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump?

SSRN Electronic Journal ◽

10.2139/ssrn.3555109 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Convenience Yield ◽

Linear Quadratic ◽

Jump Diffusion Model ◽

Futures And Options ◽

Stochastic Convenience Yield

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Pricing stock options in mergers and acquisitions with jump-diffusion model

2008 American Control Conference ◽

10.1109/acc.2008.4586623 ◽

2008 ◽

Author(s):

Chaoxiao Lu ◽

Stephen Yau

Keyword(s):

Mergers And Acquisitions ◽

Diffusion Model ◽

Stock Options ◽

Jump Diffusion ◽

Jump Diffusion Model

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Bayesian Inference for the Jump-Diffusion Model withMJumps

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2012.755202 ◽

2014 ◽

Vol 43 (18) ◽

pp. 3955-3985 ◽

Author(s):

Maciej Kostrzewski

Keyword(s):

Bayesian Inference ◽

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model

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The Critical Price of the American Put Near Maturity in the Jump Diffusion Model

SIAM Journal on Financial Mathematics ◽

10.1137/140965910 ◽

2016 ◽

Vol 7 (1) ◽

pp. 236-272

Author(s):

Aych Bouselmi ◽

Damien Lamberton

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

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